US8825543B2 - System and method for multi-market risk control in a distributed electronic trading environment - Google Patents
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- US8825543B2 US8825543B2 US14/048,748 US201314048748A US8825543B2 US 8825543 B2 US8825543 B2 US 8825543B2 US 201314048748 A US201314048748 A US 201314048748A US 8825543 B2 US8825543 B2 US 8825543B2
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q10/00—Administration; Management
- G06Q10/06—Resources, workflows, human or project management; Enterprise or organisation planning; Enterprise or organisation modelling
- G06Q10/063—Operations research, analysis or management
- G06Q10/0635—Risk analysis of enterprise or organisation activities
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/02—Banking, e.g. interest calculation or account maintenance
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/06—Asset management; Financial planning or analysis
Definitions
- the present invention is directed to electronic trading. More specifically, the present invention is directed towards a system and method for risk management in an electronic trading environment.
- Trading methods have evolved from a manually intensive process to a technology enabled, electronic platform. With the advent of electronic trading, a user or trader can be in virtually direct contact with the market, from practically anywhere in the world, performing near real-time transactions.
- Electronic trading is generally based on a host exchange, one or more computer networks, and client devices.
- the host exchange includes one or more centralized computers to form the electronic heart. Its operations typically include maintaining an exchange order book that records unexecuted orders, order matching, providing price and order fill information, and managing and updating a database that records such information.
- the host exchange is also equipped with an external interface that maintains uninterrupted contact to the client devices and possibly other trading-related systems.
- tradeable object refers to anything that can be traded with a quantity and/or price. It includes, but is not limited to, all types of traded events, goods and/or financial products, which can include, for example, stocks, options, bonds, futures, currency, and warrants, as well as funds, derivatives and collections of the foregoing, and all types of commodities, such as grains, energy, and metals.
- the tradeable object may be “real,” such as products that are listed by an exchange for trading, or “synthetic,” such as a combination of real products that is created by the user.
- a tradeable object could actually be a combination of other tradeable objects, such as a class of tradeable objects.
- a client device is a computer such as a personal computer, laptop computer, hand-held computer, and so forth that has network access.
- a network is a group of two or more computers or devices linked together in any fashion, which can be characterized by topology, protocol, and architecture. For example, some market participants may link to the host through a direct network connection such as a T1 or ISDN. Some participants may link to the host exchange through direct network connections and through other common network components such as high-speed servers, routers, and gateways that allow a trader to connect to an electronic exchange.
- the Internet a well-known collection of networks and gateways, can be used to establish a connection between the client device and the host exchange. There are many different types of wired and wireless networks and combinations of network types known in the art that can link traders to the host exchange.
- automated tools that automatically or semi-automatically send orders for tradeable objects to the exchange.
- Many different trading tools are usually provided to, among other things, facilitate fast and accurate order entry.
- an automated tool might quickly calculate one or more order parameters, such as order price or order quantity, based on market conditions, or some other reference condition, and then automatically send an order with these parameters to an exchange for matching.
- order parameters such as order price or order quantity
- FIFO matching system the speed with which an order gets from a trading station to an exchange is crucial, since orders are electronically entered in an exchange order book in the sequence in which they are received at the exchange.
- risk management systems to ensure that a trader does not enter into trades that could potentially result in exceeding a trader's credit limit, or yet some other preset risk parameters, such as a maximum net position that a trader is willing to hold at any given time, for example. While some traders are sole proprietors who risk their own money while trading, others often trade for larger trading groups, such as trading houses. Larger trading groups often use a centralized risk management component that controls and manages global risk as well as risk related to each individual trader.
- risk control systems provide an effective risk control mechanism, they also slow down trading.
- the centralized risk control system when the centralized risk management component receives requests from many gateways, the component puts the requests in its internal queue and processes them in the order they were received, thus, creating unnecessary delays at the gateways that have to wait for a response from the central component.
- the order delay problems grow exponentially as the trading house uses automated trading tools that may generate hundreds of orders per second, thus, creating a bottleneck of requests at the centralized risk management that consequently slows down the speed with which the orders get to the exchanges.
- FIG. 1 illustrates a trading system for electronic trading according to an example embodiment, wherein the trading system includes a trading station where a trader can submit bids and offers for a tradeable object being traded at an electronic exchange;
- FIG. 3 illustrates an example distributed risk management system, in which, the example embodiments for distributed risk management may be employed
- FIG. 4 illustrates a flowchart describing one example method for allocating a risk account balance to a local risk management module
- FIG. 5 illustrates a flowchart describing one example method for using and managing a risk account balance at a local risk management module
- FIG. 6 illustrates a flowchart describing one example method for shifting an account balance between two local risk management modules
- FIGS. 7A and 7B illustrate a flowchart that illustrates an example method for automatically monitoring and allocating an additional account balance at a local risk management module.
- a central risk management may establish communication with a local risk management.
- the local risk management module may receive from the central risk management module a portion of a central risk account balance to create a local risk management balance for a trading account.
- the local risk management module may determine if there is a sufficient balance available in the local account balance to forward the order request to a computerized matching process. If the balance is sufficient, the local risk management may forward the order request to the computerized matching process without any need to communicate with the central risk management module.
- the central risk management module may replenish the local account balance either automatically or upon receiving a request from the local risk management module. Additional embodiments related to risk management according to the example embodiments will be described below.
- the computer employed as the gateway 106 generally can range from a personal computer to a larger computer.
- An illustrative gateway 106 computer uses PentiumTM microprocessors and operates under a Windows 2000TM or Windows NTTM (server or workstation) operating system.
- the gateway 106 may additionally include a monitor (or any other output device), input device, and access to a database, if so desired.
- monitor or any other output device
- input device or access to a database, if so desired.
- present example embodiments are not limited to any particular class or model of computer(s) employed for the gateway 106 and will be able to select an appropriate system.
- the trading station 102 generally executes application programs resident at the trading station 102 under the control of the operating system of the trading station 102 .
- the gateway 106 executes application programs resident at the gateway 106 under the control of the operating system of the gateway 106 .
- the function of the application programs at the trading station 102 may be performed by the gateway 106
- the function of the application programs at the gateway 106 may be performed by the trading station 102 .
- the gateway device may be located at the client site along with the trading station, which is usually remote from the matching process at the electronic exchange.
- the trading station, the gateway, and the router may communicate over a local area network, and the router may communicate with the matching process at the electronic exchange over a T1, T3, ISDN, or some other high speed connection.
- the gateway may be housed at, or near, its corresponding electronic exchange.
- the trading station may communicate with the gateway over a wide area network or through the use of a T1, T3, ISDN, or some other high speed connection.
- the gateway may be located remote from the trading station and remote from the electronic exchange, which might be particularly useful in systems that include interconnection of multiple trading networks.
- one trading network might have gateway access to an electronic exchange.
- other trading networks may communicate with the trading network that has gateway access through a T1, T3, ISDN, or some other high speed connection.
- the trading system presented in FIG. 2 provides the trader with the opportunity to trade tradeable objects listed at different electronic exchanges.
- a trader could view market information from each tradeable object through one common visual display.
- price and quantity information from the two separate exchanges may be presented together so that the trader can view both markets simultaneously in the same window.
- a trader can spread trade different tradeable objects listed at the different electronic exchanges.
- a centralized risk component allocates a fraction of the central risk account balance to a local risk component that can be located at a gateway.
- the localized risk component may then manage a local risk balance without communicating with the central risk component until the local account balance is high enough to allow submission of trades corresponding to the received order requests. Then, as the local account balance gets low, the local risk component may communicate with the central risk component to obtain an additional account balance.
- a central risk controller 306 includes a risk management module 308 that is used to control, allocate, and manage risk related parameters corresponding to the trading stations 302 and 304 .
- the risk parameters can include, but are not limited to a current available credit, an available margin to place a trade, and/or trading related risk data, such as an overall net position, a filled net long position, a filled net short position, an open net position, the current profit/loss level (“P/L”), working outright orders, or the combination thereof.
- P/L current profit/loss level
- each gateway 318 and 320 is associated with a local risk management component 324 and 330 that locally manage risk corresponding to orders received at each respective gateways, the details of which will be described in greater detail below.
- FIG. 3 illustrates the components 324 and 330 being internal with respect to each gateway. However, it should be understood that, in an alternative embodiment, each gateway could communicate with a standalone localized risk management components as well.
- the trading stations 302 and 304 use a single trading account for conducting trades at the electronic exchanges 336 and 338 through the gateways 318 and 320 .
- each trading station could have its own trading account or multiple trading accounts.
- the trading account includes one or more risk related parameters described above that are used for risk management.
- a risk related parameter that is used in relation to the trading account is a monetary account balance available for trading to the trading stations 302 and 304 , such as, for example, $5,000.
- the central risk controller 306 may allocate a portion of the total account balance corresponding to the trading account to each local risk management component 324 and 330 .
- the local risk management components 324 and 330 may then locally manage risk data based on the provided risk account balance.
- the risk management module 308 could allocate the balance of $1,000 to each local risk management component 324 and 330 .
- the local risk management components 324 and 330 could locally manage the risk as one or more orders are being sent through each gateway up to the limit of its allocated funds, such as $1,000 in this example.
- the local risk management components 324 and 330 can communicate with the centralized risk controller 306 to obtain additional funds.
- the account record includes an account identifier of “9999” shown at 310 corresponding to the trading stations 302 and 304 , an account balance of $3,000 as shown at 312 , and the fund balance that was allocated to each gateway, $1,000 in this example, as shown at 314 and 316 .
- each balance related entry can be updated based on how the funds are allocated between the localized risk management modules.
- additional data could be stored in each record, and the illustrated record is only an example. For example, additional entries could be created when more than two gateways are used by a trading station to send orders to one or more exchange.
- the example record show risk parameter in the format of the available trading funds, different risk related parameters discussed above could be used at the central risk controller 306 in addition to or instead the available trading funds.
- gateways 318 and 320 may create and update its own account records once risk data corresponding to a specific account is allocated to each of them, therefore eliminating the need to communicate with the central risk controller 306 to manage risk associated with each trade order to be sent to an electronic exchange through the gateways.
- One example set of records is illustrated in relation to the local risk management modules 324 and 330 , with each record using a client “ID” field and “Balance” field, with specific entries shown at 326 , 328 , 332 , and 334 .
- $1,000 was allocated to each local risk management module 324 and 334 for local risk management of trades made from the trading stations 302 and 304 using the account labeled “9999,” in this specific example.
- each block in the flowcharts may represent a module, segment, or portion of code, which includes one or more executable instructions stored on one or more computer readable media for implementing specific logical functions or steps in the process. Alternate implementations are included within the scope of the example embodiments in which functions may be executed out of order from that shown or discussed, including substantially concurrently or in reverse order, depending on the functionality involved, as would be understood by those reasonably skilled in the art of the present invention. Also, the flowcharts will be described in relation to the components illustrated in FIG. 3 . However, it should be understood that more, fewer, or different components could also be used to execute the methods described below.
- FIG. 4 is a flowchart describing an example method 400 for allocating a risk account balance to a local risk management module.
- the central risk controller 306 receives a central risk balance data corresponding to a trading account created for a trading entity.
- the central risk balance and the corresponding trading account may be defined by a system administrator or could be communicated to the central risk controller 306 from another entity.
- the trading account could be used to control trades initiated from one or more electronic trading stations and/or different automatic trading tools that automatically generate orders to be sent to an electronic exchange.
- the trading account could be identified by a trading identifier.
- monetary balance means for risk management
- non-monetary metrics could be used as well as means by which the example systems can measure and control risk.
- the risk could be controlled and measured based on any other trading related parameters, such as a total net position that a trader/trading entity is allowed to hold at any given time, a working order quantity, or a number of tradeable objects that can be traded at any given time.
- statistical risk measures such as volatility, the number of traders logged in, or yet some other parameters, could be used as well.
- the central risk controller 306 could use a trading history record corresponding to the trading entity to determine that there is a likelihood of trades being sent through a second gateway corresponding to a different localized risk management module.
- the allocation request for the different localized risk management module could be triggered upon detecting that a trader is trading at the first gateway. The conditions could be preprogrammed.
- the central risk controller 306 determines if there is a central account balance to fulfill the request. To do that, the central risk controller 306 may use the account identifier provided in the request to determine if there is any central account balance corresponding to the trading entity. If there has been no central account balance created for the trading entity, or the balance has been completely used, at step 408 , the central risk controller 306 may reject the request by sending a rejection request message to the local risk management module. According to an alternative embodiment, even if there is no central account balance, the central risk controller 306 could shift at least a portion of the available balance from one local risk management module to the requesting module, the methods of which will be described in relation to one of the subsequent figures.
- the central risk controller 306 determines a fraction of the balance corresponding to the central account to be provided to the local risk management module.
- the central risk controller 312 could allocate the requested portion of the central risk account balance to the local risk management module.
- the central risk controller 312 could provide a smaller balance than the requested one.
- the central risk controller 312 could be programmed with a number of balance allocation rules to be used for dynamically allocating the account balance between the local risk management modules. The rules could be preprogrammed or could be based on a trading history, such as for example, the number of trades being sent through a gateway corresponding to the local. risk management module, or the traded quantity corresponding to orders being sent via the gateway as compared to other gateways that a trader uses or may use during a trading day. Different account allocation criteria could be used as well.
- FIG. 5 is a flowchart describing an example method 500 for using and managing a risk account balance at a local risk management module.
- a local risk management module receives an account risk balance to be used in relation to making risk determination for trades that are initiated at a trading entity.
- the local risk management module may create or update an account record corresponding to the trading entity to reflect the current available risk account balance.
- the local risk management module detects a new trade request from the trading entity. According to the embodiment, the request could be communicated from another component at a gateway that receives order requests from the trading entity.
- the local risk management module determines if there is a sufficient local account risk balance to complete the requested trade order. For example, when a monetary risk account balance is used, the local risk management module may subtract the account balance required to complete the trade from the total account balance to see if there would be any account balance remaining after completing the trade.
- different risk related parameters other than monetary credits, could be used as well in relation to the risk accounts being kept at the local risk management module and the central risk management module. Also, more than one risk related parameter could be monitored at any given time before sending an order to an electronic exchange.
- the local risk management module updates the risk balance of its local account and allows the order request to be sent to the electronic exchange. However, if the local account balance is not sufficient, at step 510 , the local risk management module may send to a central risk controller 306 a request for an additional account balance. According to one example embodiment, the additional balance requested by the local risk management module may be equal to the balance necessary to allow the order request to be sent to the electronic exchange. Alternatively, a higher balance could be requested as well.
- the local risk management module determines if a sufficient risk account balance necessary to complete the order request was received from the central risk controller. If so, the method 500 continues at step 508 , and the trade order request is sent to the electronic exchange. However, if the local risk management module does not receive any additional balance or the received balance is still not sufficient for the trade order to be sent to the electronic exchange, the local risk management module rejects the trade order request, as shown at 514 .
- a gateway corresponding to the local risk management module may responsively send an order request rejection message to a trading station that initiated the order.
- the central risk controller could shift the funds from a local management module that has a big risk account balance left to the one that needs an additional balance.
- An example method 600 for shifting an account balance between two local risk management modules will be described in relation to a flowchart illustrated in FIG. 6 .
- FIGS. 7A and 7B illustrate a flowchart that illustrates an example method 700 for automatically monitoring and allocating an additional account balance at a local risk management module.
- the central risk controller updates its account records corresponding to each local risk management module based on the trading activity corresponding to the trading account. Additionally, each local risk management module may periodically send to the central risk management module a current risk account balance corresponding to the trading account.
- the central risk controller detects that an additional risk balance might be needed at the first local risk management module. According to an example embodiment, this determination may be based on the local account balance being kept and dynamically updated at the central risk management module, as well as one or more account allocation rules that determine the account balance to be provided to each local risk management module.
- the method 700 terminates. Otherwise, at step 718 , the central risk management module shifts at least a portion of the local balance at the second risk management module to the first local management module.
- the allocation of the balance could be accomplished by sending new allocation messages to the first and second local risk management modules. More specifically, an account balance increase message including a request to increase the account balance level would be sent to the first local risk management module, and an account balance decrease message including data including a request to decrease the account balance level would be sent to the second local risk management module.
- two local risk management modules could directly communicate with each other to shift account funds corresponding to a trading account.
- one of the gateways could communicate with the central risk management module to provide the updated account information for central record keeping purposes at the central module.
- the central risk management module could control which local risk management modules could directly arrange a balance transfer with another local modules. For example, a number of rules could be programmed that control which local risk management modules could directly communicate at any given time. Also, it should be understood that the limitations could be based on an account with respect to which funds are to be transferred.
- a computer readable medium can include a readable memory device, such as a hard drive device, a CD-ROM, a DVD-ROM, or a computer diskette, having computer readable program code segments stored thereon.
- the computer readable medium can also include a communications or transmission medium, such as, a bus or a communication link, optical, wired or wireless having program code segments carried thereon as digital or analog data signals.
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US11625776B2 (en) | 2005-09-30 | 2023-04-11 | Trading Technologies International, Inc. | System and method for multi-market risk control in a distributed electronic trading environment |
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US20160300171A1 (en) * | 2015-04-09 | 2016-10-13 | International Business Machines Corporation | Risk-based order management with heterogeneous variables in a constrained environment |
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US10628768B2 (en) * | 2016-05-09 | 2020-04-21 | Fidessa Trading Uk Limited | Systems and methods for risk management in a geographically distributed trading system |
US20200104922A1 (en) | 2018-09-28 | 2020-04-02 | Strike Derivatives Inc. | Electronic trade processing system and method |
CN109544037B (en) * | 2018-12-19 | 2021-05-25 | 上海金融期货信息技术有限公司 | Non-invasive security futures trading pre-transaction wind control gateway system |
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US20150058194A1 (en) | 2015-02-26 |
US8583534B1 (en) | 2013-11-12 |
US20230206330A1 (en) | 2023-06-29 |
US20180308167A1 (en) | 2018-10-25 |
US11625776B2 (en) | 2023-04-11 |
US10037572B2 (en) | 2018-07-31 |
US20140040108A1 (en) | 2014-02-06 |
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